it was a joke, but actually it is common in forex. never negative, but occasionally positive I want to sell at the bid, and you want to buy at the ask, and the ECN just splits it, and we each get a little positive slippage otherwise, when it comes to ES, it was just a joke, like hopefully this whole thread is. but to reiterate, positive slippage on a limit order in forex is not normal, but then again it is not uncommon.
I always follow ES and NYSE buy/ sell programs looking for set ups, but I trade the TF for my entry. The TF is much more efficient to trade over ES, but ES is more liquid if you need to trade 20 lots or higher. I trade DAX some nights and that is my favorite. I never trade the YM or NQ and I don't really need to. 6E and CL I trade all day for intraday position trades.
Can someone briefly explain how limit orders are filled on the ES? Do they fill in sequence or is there some other order to it that would make it more difficult to have a limit order filled?
yes , they are filled in the order submitted. That is the beauty of ES. They cant fill JPM until they fill your little one lot if you got there first in line (even by a nano second.)